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Generalized Taylor and Generalized Calvo Price and Wage-Setting : Micro Evidence with Macro Implications
Dixon, Huw David - 2011
The Generalized Calvo and the Generalized Taylor model of price and wage-setting are, unlike the standard Calvo and … Taylor counterparts, exactly consistent with the distribution of durations observed in the data. Using price and wage micro … monetary policy transmission by embedding these calibrated models in a standard DSGE model. The Generalized Taylor model is …
Persistent link: https://www.econbiz.de/10013128261
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A Time-Varying Natural Rate for the Euro Area
Mésonnier, Jean-Stéphane - 2010
In this article we estimate a time-varying " natural " rate of interest (TVNRI) for a synthetic euro area over the period 1979Q1-2002Q4 using a small backward-looking macroeconomic model, broadly following a methodology developed by Laubach and Williams (2003) for the United States. The Kalman...
Persistent link: https://www.econbiz.de/10013136219
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Monetary Policy Inertia or Persistent Shocks?
Carrillo, Julio A. - 2010
In this paper, we propose a simple econometric framework to disentangle the respective roles of monetary policy inertia and persistent shocks in interest rate rules. The procedure exploits the cross-equation restrictions provided by a DSGE model which is confronted to a monetary SVAR. We show...
Persistent link: https://www.econbiz.de/10013136637
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The Dynamic Effects of Disinflation Policies
Collard, Fabrice - 2010
This paper investigates the effects of disinflation policies on key macroeconomic variables. Using postwar US data and episode techniques, we identify disinflation shocks as shocks that drive the inflation rate to a lower level in the long-run. We find that in the immediate aftermath of a...
Persistent link: https://www.econbiz.de/10013137854
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Supply Shocks and Optimal Monetary Policy in the Euro Zone
Fève, Patrick - 2010
This article assesses monetary policy's performances in the Euro zone in the face of supply shocks. We determine the responses of output, inflation, labor share and the nominal interest rate to a supply shock as identified through a structural VAR model. We then develop a DSGE model with nominal...
Persistent link: https://www.econbiz.de/10013137972
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Optimal Monetary and Prudential Policies
Collard, Fabrice - 2012
The recent financial crisis has highlighted the interconnectedness between macroeconomic and financial stability and has raised the question of whether and how to combine the corresponding main policy instruments (interest rate and bank-capital requirements). This paper offers a characterization...
Persistent link: https://www.econbiz.de/10013096163
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Monetary Policy and Herd Behavior : Leaning Against Bubbles
Loisel, Olivier - 2012
to laisser-faire, in terms of ex ante welfare …
Persistent link: https://www.econbiz.de/10013096178
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On the Sources of Macroeconomic Stability in the Euro Area
Avouyi-Dovi, Sanvi - 2015
In the mid-1990s the euro area experienced a change in macroeconomic volatility. Around the same time, at business cycle frequencies the correlation between inflation and money growth changed markedly, turning from positive to negative. Distinguishing the periods pre- and post-1994, we estimate...
Persistent link: https://www.econbiz.de/10013011068
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The Dynamic Effects of the ECB’s Asset Purchases : A Survey-Based Identification
Lhuissier, Stéphane; Nguyen, Benoît - 2021
This paper estimates the dynamic effects of the ECB's asset purchase programme (APP) using a proxy structural vector autoregression. We construct a novel proxy for structural APP shocks as unexpected changes in the size of additional purchases announced by the ECB. Unexpected changes are...
Persistent link: https://www.econbiz.de/10013240797
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Downward Interest Rate Rigidity
Levieuge, Grégory; Sahuc, Jean-Guillaume - 2021
Empirical evidence suggests that bank lending rates are downward rigid: banks tend to adjust their rates more slowly and less completely to short-term market rates decreases than to increases. We investigate the macroeconomic consequences of this downward interest rate rigidity by introducing...
Persistent link: https://www.econbiz.de/10013213271